How to make an object have a clay like surface?
For a clay material, simply set the Specularity to 0:




If you want it to be more like "play-doh" you might want to raise the specular lighting by a bit (maybe to 0.1), but it will also be important to actually deform the model some. Play-doh shapes aren't perfectly smooth. I find that using a Voronoi texture on a Displace modifier, followed by a Cast to Sphere, works pretty well. Here's an exaggerated image and a more realistic image:




Finally, here's the modifiers and texture setup I used: